Inflation Forecasting using ARIMA and Grey System Models
Journal Title: Journal of the Human and Social Science Researches - Year 2017, Vol 6, Issue 2
Abstract
In this study, the inflation rate which is one of the economic variables that economic units notice is forecasted using ARIMA and Grey System Models in Turkey. The time series used in the study include 2003: 1-2016: 12 for TUFE and 2006: 1-2016: 12 for UFE. The findings suggest that the ARIMA model estimated the Consumer Price Index (CPI) with an error of 0.5%, while the Grey System Model forecasted with an error of 0.8%. In the prediction of Producer Price Index (PPI), the ARIMA model forecasted with an error of 1.8%, while the Grey System Model forecasted with an error of 1.1%. According to the results obtained, the Grey System Model is more successful in estimating the PPI, and the ARIMA model is more successful for the CPI. Also, both ARIMA and Grey System Model estimates have predicted the CPI better compared to the PPI.
Authors and Affiliations
Arzu TAY BAYRAMOĞLU| Yrd. Doç. Dr. , Bülent Ecevit Üniversitesi, İİBF İktisat Bölümü arzutb@beun.edu.tr, Zafer ÖZTÜRK| Yrd. Doç. Dr., Bülent Ecevit Üniversitesi, İİBF İktisat Bölümü zaferozturk@beun.edu.tr
Keywords
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